We examine the effect of book-to-market equity (BE/ME) on asset correlations in the asymptotic single risk factor (ASRF) framework under the Basel II Accord on regulatory capital requirement. Over a sample period from 1988 to 2007, we find that BE/ME is negatively related to asset correlations...

Since the historical capital regulation by China Banking Regulatory Commission (CBRC) in 2004, Chinese banks have reported remarkable capital growth in their statements. This study examines the impacts of heavily issued and cross-held subordinate debt (SD) towards inflated capital adequacy...